WWW Options History — November 2014

In November 2014, WWW traded between $26.39 and $30.58. ATM implied volatility averaged 31.7%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.1% (HV 20d: 21.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.99.

Notable Days

  • 2014-11-25: Highest Volume — 182 contracts
  • 2014-11-07: Largest IV spike — 44.5% change
  • 2014-11-10: Highest IV Rank — 53.7%
  • 2014-11-04: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.76$26.39$30.58$26.99$30.51
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV31.7%19.4%50.9%44.1%22.9%
Expected Move8.5%7.4%10.2%8.9%7.9%
HV 20d21.6%17.7%26.5%26.2%22.3%
HV 60d23.7%22.8%24.5%24.3%23.8%
IV Rank20.9%0.0%53.7%42.1%6.0%
IV Percentile45.8%0.0%96.8%91.7%11.1%
Term Structure-0.4%-27.1%11.0%-27.1%4.0%
VWIV29.4%20.6%33.8%28.8%27.3%
Skew 25d10.4%-5.0%45.8%16.3%-3.5%
Skew 10d20.7%0.5%72.7%19.7%0.5%
Call IV 25d25.5%19.4%32.5%25.3%32.5%
Put IV 25d36.0%25.4%74.8%41.5%29.0%
Bid-Ask Spread %85.9773.37104.3594.0388.08
Gamma HHI0.500.310.650.610.65
Net GEX41.2K-2.3K115.1K16.7K113.6K
Net DEX-1.9M-3.4M-1.1M-1.4M-3.2M
Net VEX-5.9K-7.0K-3.6K-6.8K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.001.851.191.35
Total Volume122.789818213654
Total OI2,025.0531,7732,1092,0391,960

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$26.99$25.0044.1%8.9%26.2%42.1%28.8%16.3%-27.1%16.7K-1.4M-6.8K1.1994.03N/AN/A62741,276763
2014-11-04$26.49$25.0043.8%10.2%26.5%41.7%32.2%8.1%-27.0%1.1K-1.2M-7.0K1.19104.35N/AN/A62741,276768
2014-11-05$26.85$25.0027.2%9.1%23.8%13.2%30.5%10.2%-5.3%7.2K-1.3M-6.8K1.1983.99N/AN/A62741,276768
2014-11-06$27.26$25.0031.5%9.0%23.1%20.6%29.3%16.4%-8.1%21.1K-1.5M-6.7K1.4880.79N/AN/A52771,276768
2014-11-07$27.00$25.0045.5%8.9%23.1%44.5%31.2%3.5%9.2%14.9K-1.4M-6.7K1.8579.72N/AN/A551021,276771
2014-11-10$26.76$25.0050.9%7.5%23.2%53.7%30.7%0.9%-2.9%12.9K-1.4M-6.8K1.8591.24N/AN/A551021,279798
2014-11-11$26.39$25.0050.6%8.6%19.7%53.3%32.3%4.1%2.6%-2.3K-1.1M-6.4K1.7092.17N/AN/A601021,242753
2014-11-12$26.70$25.0043.8%9.7%19.6%41.6%33.8%-0.5%5.8%12.9K-1.3M-6.9K1.7689.53N/AN/A581021,285798
2014-11-13$26.65$25.0026.9%9.6%19.5%12.7%32.4%-4.6%5.8%-888-1.3M-6.6K1.7687.46N/AN/A581021,290798
2014-11-14$26.70$25.0027.0%8.9%19.1%12.9%0.0%8.5%4.9%9.9K-1.4M-6.1K0.0079.37N/AN/A2101,290798
2014-11-17$26.54$25.0028.1%9.1%18.8%14.8%32.6%-5.0%-0.8%5.5K-1.4M-6.5K1.36102.35N/AN/A751021,311798
2014-11-18$27.02$25.0023.7%8.8%17.7%7.3%29.6%-1.3%11.0%30.8K-1.6M-6.0K1.3673.37N/AN/A751021,311798
2014-11-19$27.81$25.0027.7%8.0%19.6%14.0%20.6%2.4%4.1%56.4K-1.8M-5.8K0.0083.38N/AN/A801,311798
2014-11-20$28.47$25.0019.4%7.6%20.6%0.0%22.6%10.7%3.4%71.8K-2.3M-4.9K0.0480.92N/AN/A5621,304786
2014-11-21$29.12$25.0021.8%7.5%21.5%4.0%26.7%32.6%4.4%93.4K-2.5M-4.6K0.0279.63N/AN/A9621,303786
2014-11-24$29.64$25.0022.2%7.4%21.7%4.8%0.0%33.6%2.5%100.2K-2.7M-4.3K0.0078.90N/AN/A9601,297476
2014-11-25$29.99$25.0021.9%7.5%21.7%4.2%27.3%45.8%2.5%103.4K-2.9M-4.3K0.0286.04N/AN/A17841,320476
2014-11-26$30.58$25.0023.1%7.7%22.1%6.2%0.0%20.3%2.9%115.1K-3.4M-3.6K0.5978.18N/AN/A81481,413479
2014-11-28$30.51$25.0022.9%7.9%22.3%6.0%0.0%-3.5%4.0%113.6K-3.2M-5.1K1.3588.08N/AN/A23311,433527